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检索条件"主题词=Dynamic Programming Principle"
226 条 记 录,以下是181-190 订阅
排序:
Erratum: The Robust Superreplication Problem: A dynamic Approach
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SIAM JOURNAL ON FINANCIAL MATHEMATICS 2022年 第2期13卷 653-655页
作者: Carassus, Laurence Obloj, Jan Wiesel, Johannes Leonard de Vinci Pole Univ Res Ctr F-92916 Paris France Univ Reims LMR UMR 9008 F-51100 Reims France Univ Oxford Math Inst Oxford OX1 3JP England Univ Oxford St Johns Coll Oxford OX1 3JP England Columbia Univ Stat Dept New York NY 10027 USA
The assertions of Proposition 3.7 in our paper ``The robust superreplication problem: A dynamic approach"" [L. Carassus, J. Ob\lo'\j, and J. Wiesel, SIAM J. Financial Math., 10 (2019), pp. 907--941] may ... 详细信息
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Asset allocation under stochastic interest rate with regime switching
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ECONOMIC MODELLING 2012年 第4期29卷 1126-1136页
作者: Shen, Yang Siu, Tak Kuen Macquarie Univ Dept Appl Finance & Actuarial Studies Fac Business & Econ Sydney NSW 2109 Australia
We investigate an optimal asset allocation problem in a Markovian regime-switching financial market with stochastic interest rate. The market has three investment opportunities, namely, a bank account, a share and a z... 详细信息
来源: 评论
Restoration performance study of k-shortest disjoint paths in WDM optical networks
Restoration performance study of <i>k</i>-shortest disjoint ...
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14th International Conference on Computer Communications and Networks
作者: Tak, Sungwoo Park, E. K. Pusan Natl Univ Res Inst Comp Informat & Commun Dept Comp Sci & Engn Pusan 609735 South Korea Univ Missouri Sch Comp & Engn Kansas City MO 64110 USA
Many researchers have proposed restoration techniques incorporating the concept of k-shortest disjoint paths in survivable WDM (Wavelength Division Multiplexing) optical networks, but without considering network perfo... 详细信息
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Optimal reinsurance policies with two reinsurers in continuous time
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ECONOMIC MODELLING 2016年 第0期59卷 182-195页
作者: Meng, Hui Zhou, Ming Siu, Talc Kuen Cent Univ Finance & Econ China Inst Actuarial Sci Beijing 100081 Peoples R China Univ China Acad Sci Sch Management Beijing 100190 Peoples R China Macquarie Univ Fac Business & Econ Dept Appl Finance & Actuarial Studies Sydney NSW 2109 Australia
An optimal reinsurance problem of an insurer is studied in a continuous-time model, where insurance risk is partly transferred to two reinsurers, one adopting the expected-value premium principle and another one using... 详细信息
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Neural networks for first order HJB equations and application to front propagation with obstacle terms
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PARTIAL DIFFERENTIAL EQUATIONS AND APPLICATIONS 2023年 第5期4卷 1-36页
作者: Bokanowski, Olivier Prost, Averil Warin, Xavier Univ Paris Cite Lab Jacques Louis Lions LJLL F-75013 Paris France Sorbonne Univ CNRS LJLL F-75005 Paris France Normandie Univ INSA Rouen Normandie LMI UR 3226 F-76000 Rouen France EDF R&D F-91120 Palaiseau France FiME F-91120 Palaiseau France
We consider a deterministic optimal control problem, focusing on a finite horizon scenario. Our proposal involves employing deep neural network approximations to capture Bellman's dynamic programming principle. Th... 详细信息
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Data-driven surrogates of value functions and applications to feedback control for dynamical systems
Data-driven surrogates of value functions and applications t...
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9th Vienna International Conference on Mathematical Modelling (MATHMOD)
作者: Schmidt, A. Haasdonk, B. Univ Stuttgart Inst Appl Anal & Numer Simulat Pfaffenwaldring 57 D-70569 Stuttgart Germany
Dealing with high-dimensional feedback control problems is a difficult task when the classical dynamic programming principle is applied. Existing techniques restrict the application to relatively low dimensions since ... 详细信息
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One Kind of Corporate International Optimal Investment and Consumption Choice Problem
One Kind of Corporate International Optimal Investment and C...
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27th Chinese Control Conference
作者: Huang Zongyuan Wu Zhen Shandong Univ Sch Math Jinan 250100 Peoples R China
In this paper, we study a the specific Hyperbolic Absolute Risk Aversion (HARA) case of corporate international optimal Portfolio and consumption choice problem. The investor can invest his wealth bond (bank account).... 详细信息
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Optimal multidimensional reinsurance policies under a common shock dependency structure
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EUROPEAN ACTUARIAL JOURNAL 2022年 第2期12卷 559-577页
作者: Azarbad, M. Parham, G. A. Alavi, S. M. R. Shahid Chamran Univ Ahvaz Fac Math Sci & Comp Dept Stat Ahvaz Iran
In this paper, we consider an insurance company that is active in multiple dependent lines. We assume that the risk process in each line is a Cramer-Lundberg process. We use a common shock dependency structure to cons... 详细信息
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Stochastic modeling and control of bioreactors
Stochastic modeling and control of bioreactors
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20th World Congress of the International-Federation-of-Automatic-Control (IFAC)
作者: Fontbona, J. Ramirez, H. C. Riquelme, V. Silva, F. J. Univ Chile Dept Ingn Matemat Beauchef 851Casilla 170-3 Santiago 3 Chile Univ Chile CNRS Ctr Modelamiento Matemat UMI 2807 Beauchef 851Casilla 170-3 Santiago 3 Chile Univ Limoges Fac Sci & Tech UMR CNRS 7252 Inst Rech XLIM DMI F-87060 Limoges France
In this work we propose a stochastic model for a sequencing-batch reactor (SBR) and for a chemostat. Both models are described by systems of Stochastic Differential Equations (SDEs), which are obtained as limits of su... 详细信息
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The Corporate Optimal Portfolio and Consumption Choice Problem in Trade Project with Borrowing Rate Higher than Deposit Rate  38
The Corporate Optimal Portfolio and Consumption Choice Probl...
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38th Chinese Control Conference (CCC)
作者: Zhang, Panpan Shandong Univ Sch Control Sci & Engn Jinan 250061 Peoples R China
This paper is concerned with a kind of optimal portfolio and consumption choice problem, where an investor can invest his wealth in a trade project and foreign exchange deposit. The trade project earns profit by buyin... 详细信息
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